Many numerical optimization methods use scenario trees as a discrete approximation for the true (multi-dimensional) probability distributions of the problem's random variables. Realistic specifications in asset-liability management (ALM) models can lead to tree sizes that quickly become...

We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk-return trade-off considering parameter uncertainty. We calibrate the model to real returns of US stocks, long-term bonds,...

Between September 6, 2011, and January 15, 2015, the Swiss National Bank (SNB) enforced a lower bound of 1.20 on the CHF/EUR exchange rate. In this paper, we view the SNB's commitment to this lower bound as a put option and use a latent likelihood estimation approach to infer (a) where the...

The paper investigates the importance of inflation-linked annuities to individuals facing inflation risk. Given the investment opportunities in nominal, real, and variable annuities, as well as cash and stocks, we investigate the consumption and investment decisions under two different objective...